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Aggregation, Heterogeneous Autoregression and Volatility of Daily International Tourist Arrivals and Exchange Rates
Chang, Chia-Lin; McAleer, Michael - Department of Economics and Finance, College of … - 2010
conditional mean specifications. The QMLE for the GARCH(1,1), GJR(1,1) and EGARCH(1,1) models for world, US and Japanese tourist …
Persistent link: https://www.econbiz.de/10010627491
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How Volatile is ENSO?
Chu, LanFen; Chen, Chi-Chung; McAleer, Michael - Department of Economics and Finance, College of … - 2010
results show that both the ARMA(1,1)-GARCH(1,1) and ARMA(3,2)-GJR(1,1) models are suitable for modelling ENSO volatility …
Persistent link: https://www.econbiz.de/10008465228
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Structure and Asymptotic Theory for Nonlinear Models with GARCH Errors
Chan, Felix; McAleer, Michael; Medeiros, Marcelo C. - Department of Economics and Finance, College of … - 2010
- Maximum Likelihood Estimator for a general nonlinear conditional mean model with first-order GARCH errors. …
Persistent link: https://www.econbiz.de/10008765700
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Importing High Food Prices by Exporting: Rice Prices in Lao PDR
Durevall, Dick; van der Weide, Roy - Nationalekonomiska institutionen, Handelshögskolan - 2014
This paper shows how a developing country, Lao PDR, imports high glutinous rice prices by exporting its staple food to neighboring countries, Vietnam and Thailand. Lao PDR has extensive export controls on rice, generating a sizable difference between domestic and international prices. Controls...
Persistent link: https://www.econbiz.de/10011082588
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Modelling Long Memory Volatility in Agricultural Commodity Futures Returns
Chang, Chia-Lin; McAleer, Michael; Tansuchat, Roengchai - Department of Economics and Finance, College of … - 2012
), are modelled and compared with the GARCH model of Bollerslev (1986), EGARCH model of Nelson (1991), and APARCH model of … are found to outperform their GARCH(1,1) and EGARCH(1,1) counterparts. …, coffee, cotton, orange juice, Kansas City wheat, rubber, and palm oil. The class of fractional GARCH models, namely the …
Persistent link: https://www.econbiz.de/10010548109
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Growth Engines of the South? South Africa’s, Brazil’s and Turkey’s market constellations in comparison
Duman, Alper; Heise, Arne - 2009
The world is experiencing its worst recession in 80 years. What started as US sub-prime financial turmoil has developed into the first global recession since the infamous "Great Depression" of the early 1930s. However gloomy the perspectives for the very short term are, there will be a recovery...
Persistent link: https://www.econbiz.de/10011807202
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Trimestralizacion y conciliacion de magnitudes economicas: una ampliacion del metodo Chow-Lin
Fanals, Ernest Pons; Novell, Jordi Pons; Caralt, Jordi … - Facultat d'Economia i Empresa, Universitat de Barcelona - 1997
One of the more important statistical tools for the monitoring and analysis of the economic activity evolution in the short term is the availability of estimations of the quarterly GDP components, whether the supply side or whether the demand side. The need for having this information with a...
Persistent link: https://www.econbiz.de/10005022316
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Una extension de la regresion propuesta por Geweke y Porter-Hudak para la estimacion del orden de diferenciacion en modelos ARFIMA
Fanals, Ernest Pons; Caralt, Jordi Surinach - Facultat d'Economia i Empresa, Universitat de Barcelona - 2000
Over the last years there has been considerable interest in the application of long memory time series models in economics using ARFIMA models. Nowadays, the most popular estimator of the difference parameter in economic applications is that proposed by Geweke and Porter-Hudak (GPH) although has...
Persistent link: https://www.econbiz.de/10005022322
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Son excesivamente suaves las series de contabilidad nacional trimestral?
Fanals, Ernest Pons; Novell, Jordi Pons - Facultat d'Economia i Empresa, Universitat de Barcelona - 1997
In this paper it is analyzed if the Contabilidad Nacional Trimestral series in Spain are extremely smooth and, therefore, if they really explain about the evolution of the Spanish economy on the short term. It is shown, by use of spectral analysis, that the Spanish quarterly series have a...
Persistent link: https://www.econbiz.de/10005022324
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An analysis of inflation rates in the european union using wavelets: strong evidence against unit roots
Fanals, Ernest Pons; Caralt, Jordi Surinach - Facultat d'Economia i Empresa, Universitat de Barcelona - 2002
In many fields of economic analysis the order of integration of some economic magnitudes is of particular interest. Among other aspects, the order of integration determines the degree of persistence of that magnitude. The rate of inflation is a very interesting example because many contradictory...
Persistent link: https://www.econbiz.de/10005022343